The Revised Sharp Method Examination Based on Value at Risk for Evaluation of Tehran Stock Exchange Companies

Subject Areas : Journal of Investment Knowledge

S. Reza Mirghaffari ¹

1 - Postgraduate of Finance at Islamic Azad University, Tehran Central Branch

Received: 2012-04-08 Accepted : 2012-10-11 Published : 2012-10-11

Keywords: Revised Sharp ratio, Sharp Ratio, Value at risk, Exponentially veragVaR Back te,

Abstract :

Initially in this research we introduce a new method for evaluating the performance of company in Tehran Stock Exchange that called Revised-Sharp ratio and then examine this index was compared with sharp ratio. In Revised- Sharp ration we used of Value at Risk (Var) concept. Due to the unique properties and its application in the international financial institutions, VaR was applied as a financial innovation in Revised Sharp index. In this study, evaluating the performance by Revised-Sharp and Sharp was done in Investment and Metal Producer Company for period of study (2007-2011). The results show that there is no difference between ranking of Revised-Sharp and Sharp index in Investment companies (Portfolio). Although in Metal companies there were some differences between ranking of Revised Sharp and Sharp apparently, but also this hypothesis was not approved by nonparametric statistical examination.